We apply a Markov-switching Bayesian vector autoregression (MSBVAR) model to mortality forecasting. MSBVAR has not previously been applied in this context, and our results show that it is a promising tool for mortality forecasting. Our model shows better forecasting accuracy than the Lee-Carter...

We construct a new age-specific mortality framework and implement an exemplar (DLGC) that provides an excellent fit to data from various countries and across long time periods while also providing accurate mortality forecasts by projecting parameters with ARIMA models. The model parameters have...